When you download a plugin, it generally has a readme.txt with instructions on how to install/use it. The most basic process is:

-Copy the plugin DLL and files to your computer (where you want or where the plugin tells you to place it)
-Register the DLL using: regsvr32.exe dllname.dll
-Add X,dllname to menu.skin of the skin in which you plan to use the plugin.

Again, some skins may already have/come with those things in place and you'd only have to be sure you have the plugin copied/registered. Still the best is to look at the documentation of each plugin.